The following bug has been logged online:

Bug reference: 1840
Logged by: Frank Papa
Email address: frank_papa (AT) yahoo (DOT) com
PostgreSQL version: 8.0.3
Operating system: Windows XP Home
Description: Does not install
Details:

Downloaded the zipped up package for Win 32. Started the installation with
the .msi file. After asking me what language to use (I chose English), I
got a message that the .msi file was invalid, and the installation simply
failed. I downloaded it via FTP from one of your mirrors. Not a very
promising start...

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TIP 2: Don't 'kill -9' the postmaster

Did you by any chance just double-click on the MSI file inside the ZIP
file? That would give this error.. You need to unzip the file to a
temporary directory sot hat both the MSI files are accessible at the
same time. (They may look so in Windows Explorer as it tries hard to
hide the fact that they're in a ZIP file, but they're not accessible to
each other)

//Magnus

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TIP 3: Have you checked our extensive FAQ?

http://www.postgresql.org/docs/faq